Pension plans’ funded status volatility and corporate credit risk
研究了美国养老金计划资金状况波动性如何影响企业信用风险，发现波动性越大，债券利差越高，且会计准则SFAS No.158的采用增强了这一效应。
We investigate whether and how U.S. pension plans’ funded status volatility affects firm credit risk. We first show that a firm's funded status volatility is positively related to its bond yield spread. We then find that the adoption of SFAS No.158 (2006) requiring the recognition of pension funding status on the statement of financial position renders the pension plan information more value-relevant, thereby increasing the effect of funded status volatility on bond yield spread. Furthermore, the predictions that funded status volatility affects asset value volatility and incomplete accounting information, which in turn affects corporate credit risk, are empirically supported. Our findings reinforce the need for firms to disclose reliable information about funded status volatility—a major pension plan risk—to external investors.